Abstract

A class of premium calculation principles is considered with the premiums obtained as expected values of suitably transformed distribution functions. The Esscher principle is a particular example. It is found that the likelihood ratio ordering of risks is preserved for any of these principles. A renewal theoretic interpretation of a special principle is given, and useful properties as well as a related characterization of the exponential distribution are shown.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.